Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0052
Annualized Std Dev 0.0370
Annualized Sharpe (Rf=0%) 0.1397

Row

Daily Return Statistics

Close
Observations 3526.0000
NAs 1.0000
Minimum -0.0315
Quartile 1 -0.0009
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0010
Maximum 0.0313
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0023
Skewness -0.7202
Kurtosis 31.7806

Downside Risk

Close
Semi Deviation 0.0017
Gain Deviation 0.0017
Loss Deviation 0.0020
Downside Deviation (MAR=210%) 0.0086
Downside Deviation (Rf=0%) 0.0017
Downside Deviation (0%) 0.0017
Maximum Drawdown 0.0787
Historical VaR (95%) -0.0034
Historical ES (95%) -0.0056
Modified VaR (95%) -0.0028
Modified ES (95%) -0.0028
From Trough To Depth Length To Trough Recovery
2015-04-27 2018-11-02 2020-04-23 -0.0787 1258 890 368
2010-11-05 2013-09-05 2015-01-15 -0.0659 1055 712 343
2008-01-23 2008-10-30 2008-11-25 -0.0454 215 197 18
2007-03-22 2007-06-12 2007-10-24 -0.0320 151 57 94
2020-05-08 2021-03-19 NA -0.0254 219 218 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0 -0.4 -0.7 0.2 -0.2 0.2 -0.1 -0.1 0.1 0.1 -1
2008 -0.3 0.5 -0.7 -0.3 0.2 -0.5 -0.5 -0.1 -0.7 0.7 0 0.2 -1.7
2009 0 0.1 -0.2 -0.4 -0.5 -0.2 0.6 -0.2 0 0.3 -0.6 -0.2 -1.4
2010 -0.4 -0.3 -0.5 0.1 -0.2 -0.3 0.1 -0.2 -0.2 -0.1 -3.1 0.5 -4.6
2011 -0.7 -0.2 -0.2 0.2 0.1 -0.4 -0.1 -0.1 0.1 -0.1 -0.2 0.1 -1.7
2012 -0.2 -0.3 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.1 -0.2 0 -0.1 -1.4
2013 -0.2 0 -0.1 -0.1 -0.2 0.1 -0.7 -0.1 -0.2 -0.5 0 -0.2 -2.1
2014 0.2 0 -0.3 0.1 -0.1 -0.3 0.2 0 0.3 0 -0.2 0.1 0.1
2015 0.1 0.3 0 -0.4 -0.2 -0.3 0.3 0 -0.1 0.2 -0.4 0.1 -0.4
2016 -0.3 -0.3 -0.2 0 -0.2 0 -0.2 -0.1 0 -0.2 -0.6 0.2 -2.1
2017 -0.3 -0.7 0.2 -0.4 -0.2 -0.1 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -2.1
2018 -0.5 0 0.1 -0.3 -0.5 0 -0.3 0.1 -0.3 -0.2 0.1 0.2 -1.6
2019 -0.5 -0.5 -0.6 -0.2 0.2 -0.3 0.1 0.1 -0.2 -0.2 0 0 -2.1
2020 0 0.2 -0.6 -0.2 -0.1 -0.1 0.1 -0.1 -0.2 0 -0.2 0 -1.2
2021 -0.1 0.1 0 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-16  101. SPY    139. -0.0028  -0.0121  -0.0448  -0.0186   0.0636    0.251    0.200 GLD    64.6  0.01     0.00580
2 2007-03-20  101. SPY    141.  0.0055   0.0197  -0.0327  -0.015    0.0792    0.247    0.208 GLD    65.3  0.0082   0.0243 
3 2007-03-21  101. SPY    143.  0.0165   0.0288  -0.0188   0.0067   0.0988    0.267    0.22  GLD    65.8  0.0084   0.0294 
4 2007-03-22  101. SPY    143. -0.0008   0.0266  -0.0192   0.0087   0.105     0.289    0.242 GLD    65.8 -0.0009   0.0278 
5 2007-03-23  101. SPY    143.  0.0015   0.0351  -0.017    0.0082   0.0998    0.308    0.244 GLD    65.2 -0.00930  0.0082 
6 2007-03-26  101. SPY    143. -0.0013   0.0214  -0.0145   0.0075   0.101     0.308    0.245 GLD    65.8  0.0106   0.017  
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart